Deposit Margin Calculation in MICEX Margin Calc FO

Download the MICEX Margin Calc FO 1. 1 program (release 40 dated April 28, 2009)

New web site for downloading a risk management system parameter file

Program Description

The MICEX Margin Calc FO program was developed by MICEX specialists and is similar to the PC-SPAN program designed by the Chicago Mercantile Exchange. It allows deposit margin requirements for an optional instruments portfolio to be determined based on a preset risk parameter file. The determined portfolio requirement can be represented by a series of risk components – scanning risk and spread charge, which simplify an analysis of portfolio instrument charges into a margin requirement. The required coverage is determined in MICEX Margin Calc FO pursuant to the SPAN® methodology and performs all calculations implemented by the MICEX Futures Market trading system.

In addition to the functions present in PC-SPAN, MICEX Margin Calc FO enables the user to simultaneously determine individual margin requirements on all portfolios (accounts maintained), as well as aggregate requirements on gross- and net-principles on different levels of portfolio aggregation. MICEX Margin Calc FO also allows the sufficiency of coverage to be controlled on all levels, from the Clearing Participant level to a separate account with a user-friendly interface. This feature is especially useful for market participants who support a high number of client accounts directly or through sub-brokers, since it allows them to continuously monitor provision conditions of their own and their clients’ portfolios on different levels and define problem accounts on the fly.

MICEX Margin Calc FO supports data export in PC-SPAN format. As opposed to PC-SPAN, in MICEX Margin Calc FO, users can view the current preset market parameters in downloaded risk parameter files, change the current market parameters under the “what if” principle for forecasting margin requirement values, and establish portfolio provision parameters with various market behavior scenarios, which enables coverage to be orchestrated more efficiently.